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- W4300786237 abstract "We suggest three superpositions of COGARCH (supCOGARCH) volatility processes driven by L'evy processes or L'evy bases. We investigate second-order properties, jump behaviour, and prove that they exhibit Pareto-like tails. Corresponding price processes are defined and studied. We find that the supCOGARCH models allow for more flexible autocovariance structures than the COGARCH. Moreover, other than most financial volatility models, the supCOGARCH processes do not exhibit a deterministic relationship between price and volatility jumps. Furthermore, in one supCOGARCH model not all volatility jumps entail a price jump, while in another supCOGARCH model not all price jumps necessarily lead to volatility jumps." @default.
- W4300786237 created "2022-10-04" @default.
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- W4300786237 date "2013-05-10" @default.
- W4300786237 modified "2023-10-09" @default.
- W4300786237 title "Superposition of COGARCH processes" @default.
- W4300786237 doi "https://doi.org/10.48550/arxiv.1305.2296" @default.
- W4300786237 hasPublicationYear "2013" @default.
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